Optimal Scheduling and Risk Minimization for a GenCo under Market Conditions

In this paper, an alternative formulation for the optimal scheduling of a generator is presented. Here, instead of using the traditional formulation of maximizing the expected profits (where a generator is risk-neutral), we model the problem with the supplier being risk-averter. The problem is solved by finding the schedule that produces the least risk for a given minimum target of expected profits. The variance in prices is used to consider the risk in the generation schedule. Usually, scheduling and risk management are separately done. On one hand, scheduling is generally related to maximize the expected profits while, on the other hand, risk is used mainly to analyze financial positions. In this paper, we use a model that implicitly consider both task; it is done by introducing risk into the objective function of the stochastic problem by means of the Markowitz model. Results are presented for a 24-hour trading period. 1